private VolatilitySurface(ITimeMeasure time, MoneynessProvider moneyness,
VarianceInterpoler varianceInterpoler, LocalVariance localVariance)
{
Time = time;
VarianceInterpoler = varianceInterpoler;
Moneyness = moneyness;
LocalVariance = localVariance;
}
public double LocalVol(double maturity, double strike)
{
double y = Moneyness.Moneyness(maturity, strike);
return(Math.Sqrt(LocalVariance.Eval(maturity, y)));
}
